Handle closing connection when event loop is closed

[alisaifee]

Pull Request check-list

• Do tests and lints pass with this change?
• Do the CI tests pass with this change (enable it first in your forked repo and wait for the github action build to finish)?
• Is the new or changed code fully tested?
• Is a documentation update included (if this change modifies existing APIs, or introduces new ones)?
• Is there an example added to the examples folder (if applicable)?

Description of change